Because when you're doing business in the EU you must follow EU law.

Nobody is telling MS what to do in the US.

<< If we had to comply with every jurisdictions special laws on the entire planet we'd surely waste most of our time doing it.

Without making a judgment here if you do business somewhere the expectation typically is that you will comply with local laws. This is partially the reason why only big companies can handle truly international business.

<< GDPR came out, our solution is to just violate it and not care.

Anecdotally, when GDPR came out, in the old country the, almost, first thing that happened is whole bunch of companies started bothering small businesses saying they are not complying and offering to bring them into compliance by adding cookie warning popup we love so much.

Microsoft has equipment and employees in Europe and specifically, in Germany. Plenty of room to expect them to follow the law.

It seems you are not doing business within the EU. Microsoft does business within the Eu and how important that business is you could see when Munich tread the water to migrate to Linux and open office